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Problems of opportunity set in multi-element portfolio. |
Grzegorz Koszela , Piotr Łukasiewicz |
Szkoła Główna Gospodarstwa Wiejskiego (SGGW), Nowoursynowska 166, Warszawa 02-787, Poland |
Abstract |
Identification of the curve of interdependence between risk and return in two elements portfolio as hyperbole with vertex in point corresponding to minimal risk of this portfolio creates a question about positioning of this point for the multi-elements portfolio (commence from triple elements portfolio). When describing the multi-elements portfolio, as its geometrical illustration – a drawing is presented which contains of form of definite shape which is so called opportunity set, suggesting that this area consist of all possible risk combination and return of such portfolio. In meantime it appears that those areas may possibly adopt different shapes, as well as the point which is beyond geometric interpretation for multi-elements portfolio with minimal risk could possible be positioned beyond this area. Such a situation can cause unfortunate naming opportunity set as forms formed by hyperboles in system of coordinates risk - return. |
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Presentation: Oral at First International Conference Quantitative Methods in Economics, Sessions B, by Grzegorz KoszelaSee On-line Journal of First International Conference Quantitative Methods in Economics Submitted: 2009-04-21 14:23 Revised: 2009-07-13 11:33 |